The 22-year-old had been linked with a move to England and he admits there is interest from Sunderland, but he would rather move to Paris St Germain who are also said to be keen on securing his services.
"Nobody has approached to me in an official way yet, but I must admit that I would like to change to another team next season," said Moreno.
"I don't know anything yet if there is a chance of being transferred, I haven't spoken with my agent, but I am calm.
"I know that the French press has been talking about me, but I don't know anything about if there is a negotiation.
"I have been told about Sunderland and other teams, but I am not very interested in playing in England, most of all because of the way of living they have. But Paris is Paris, that motivates me.
"But I am still in contract at AZ and I am happy there.
"Now I want to enjoy my family and charge my batteries because the beginning of a new season is very near."